By default every email account has a "spam" folder where the emails noticed as spam are saved.
This is a big trouble for me because not so much users are going to the webmail to read emails on the web and see this spam folder. And so my server has a lot of messages saved…
I’d like to let the users download all the messages (and then they can do a rule/filter in their own email client)
How can I change this option in every email account on the server?
Look in the Server Configuration menu for each of your virtual servers and click "Spam and Virus Delivery". You can set it to do whatever you want with the mail. Spam headers will already be set on the messages, if you "deliver normally", so your users can filter on the x-spam headers.
Another option is to set it to delete spam after a certain period of time.
Also note that if you give your users IMAP access to your system, they can subscribe to the spam folder and manage it with their own mail client, rather than Usermin.
And, remember you can set stuff like this, by default, for any virtual servers you create in the future by configuring it in Server Templates.
If you have Virtualmin Professional, you can bulk set options like this using the command line tools. The modify-spam command is the one you want.